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UniwersytetEkonomicznyweWrocławiu
INVESTMENTPROCESS
INDYNAMICFRAMEWORK–MEETING
INVESTMENTCRITERIA
Introduction–quantitativemethodsininvestmentanalysis
Financialinvestmentsaretheareaofeconomicactivity,wheretheappli-
cationofquantitativemethodsiswidelyaccepted.Thehistoryofquantitative
approachinfinancegoesbacktothebeginningofthe20
thcentury.Among
themostimportantachievementsinfinancetheory,wherethequantitative
methodsplayimportantrole,oneshouldmention,inthechronologicalorder,
thefollowingcontributions:
1900-LouisBachelier–thefirstproposaltoapplystochasticapproachinthe
modelingoffinancialprices(Bachelier1900).
1938-JohnBurrWilliams–DiscountedCashFlowmethodsappliedinstock
valuation(Williams1938).
1952-HarryMarkowitz–portfoliotheory(Markowitz1952).
1958-FrancoModigliani,MertonMiller–theoryofcapitalstructureandits
applicationinthecompanyvaluation(Modigliani,Miller1958,1963).
1958-JamesTobin–extensionofportfoliotheorythroughseparationtheorem
(Tobin1958).
1973-FischerBlack,MyronScholes,RobertMerton–optionpricingtheory
(Black,Scholes1973,Merton1973).
1979-DanielKahneman,AmosTversky–prospecttheory–thefirstapproach
inbehavioralfinance(Kahneman,Tversky1979).
1982-RobertEngle–ARCHmodel–thefirstproposalwithintheareaoffi-
nancialeconometrics(Engle1982).
Theanalysisoftheapplicationofquantitativemethodsinfinancialinvest-
mentsleadstoidentificationofthreemaingroupsofmathematicalmodels.
Thesearethefollowinggroups:
